Suspicious Price Movement Detection
Elise Fleischaker
The Suspicious Price Movement model identifies executions during unusual market movements which may indicate abusive behavior or erroneous trades Aberrant Pricing Periods of trading where prices are outside expected ranges often garner regulatory attention.  Additionally, many abusive trading strategies involve executions at unusual prices. Firms that have executions during such events or have patterns of unusual executions are more likely to attract regulatory attention for lapses in supervisory controls or even disruptive trading practices. Traditional trade surveillance tools rely on single points
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